COR Options History — November 2012

In November 2012, COR traded between $2.10 and $2.56. ATM implied volatility averaged 33.1%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 5.5% (HV 20d: 38.6%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.07.

Notable Days

2012-11-12: Highest Volume — 630 contracts
2012-11-09: Largest IV spike — 81.4% change
2012-11-14: Highest IV Rank — 23.8%
2012-11-02: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.32	$2.10	$2.56	$2.35	$2.56
Max Pain	$2.06	$2.00	$2.50	$2.50	$2.00
ATM IV	33.1%	23.5%	53.7%	49.1%	25.6%
Expected Move	8.8%	6.7%	15.4%	14.1%	7.3%
HV 20d	38.6%	32.9%	49.4%	35.7%	36.3%
HV 60d	27.7%	24.9%	31.1%	24.9%	31.0%
IV Rank	9.8%	2.3%	23.8%	19.1%	4.1%
IV Percentile	35.8%	4.8%	86.5%	81.3%	13.5%
Term Structure	-0.8%	-18.4%	8.4%	-15.9%	4.6%
VWIV	23.1%	20.2%	28.5%	20.2%	20.7%
Skew 25d	0.1%	-18.4%	5.8%	4.2%	1.3%
Skew 10d	0.8%	-22.7%	27.6%	27.3%	0.4%
Call IV 25d	31.2%	20.3%	63.1%	50.5%	23.4%
Put IV 25d	31.3%	18.8%	65.6%	54.6%	24.8%
Bid-Ask Spread %	82.90	24.67	145.71	132.42	24.67
Gamma HHI	0.41	0.36	0.50	0.38	0.36
Net GEX	-245	-2.0K	2.3K	-1.2K	578
Net DEX	12.9K	-82.8K	83.8K	49.0K	-82.1K
Net VEX	-560	-784	-253	-452	-784
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.25	0.05	0.00
Total Volume	56.667	0	630	0	0
Total OI	1,637.619	1,150	2,010	1,150	2,010

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-11-01	$2.35	$2.50	49.1%	14.1%	35.7%	19.1%	0.0%	4.2%	-15.9%	-1.2K	49.0K	-452	0.00	132.42	N/A	N/A	0	0	610	540
2012-11-02	$2.29	$2.50	53.7%	15.4%	34.9%	22.2%	0.0%	2.5%	-18.4%	-1.3K	56.4K	-401	0.00	145.71	N/A	N/A	0	0	610	540
2012-11-05	$2.25	$0.00	31.4%	8.7%	34.6%	7.2%	20.2%	2.9%	1.2%	-1.7K	70.7K	-325	0.00	82.89	N/A	N/A	0	30	610	540
2012-11-06	$2.25	$2.00	28.9%	8.4%	34.0%	6.8%	0.0%	3.9%	0.3%	-1.9K	69.6K	-334	0.00	76.32	N/A	N/A	0	0	610	560
2012-11-07	$2.25	$2.00	25.0%	8.0%	33.9%	3.5%	0.0%	0.7%	1.0%	-2.0K	74.7K	-313	0.00	69.47	N/A	N/A	0	0	610	560
2012-11-08	$2.20	$2.00	24.9%	7.6%	33.9%	3.4%	0.0%	2.2%	1.8%	-1.9K	73.1K	-306	0.00	101.46	N/A	N/A	0	0	610	560
2012-11-09	$2.18	$2.00	45.1%	9.1%	33.6%	20.6%	0.0%	-18.4%	-4.5%	-1.9K	79.7K	-283	0.00	119.11	N/A	N/A	0	0	610	560
2012-11-12	$2.18	$2.00	41.9%	7.4%	33.6%	17.8%	28.5%	-6.1%	0.6%	-1.9K	83.8K	-253	0.05	88.76	N/A	N/A	600	30	610	560
2012-11-13	$2.15	$2.25	31.2%	8.1%	33.5%	8.8%	20.7%	-6.8%	0.8%	1.3K	36.6K	-545	0.00	70.33	N/A	N/A	40	0	1,210	590
2012-11-14	$2.11	$2.00	49.0%	7.4%	33.3%	23.8%	0.0%	1.7%	8.4%	1.4K	42.0K	-526	0.00	48.23	N/A	N/A	0	0	1,230	590
2012-11-15	$2.10	$2.00	39.2%	11.2%	32.9%	15.6%	0.0%	-0.9%	-5.4%	1.3K	42.7K	-471	0.00	135.44	N/A	N/A	0	10	1,230	550
2012-11-16	$2.22	$2.00	33.6%	9.6%	41.3%	10.8%	0.0%	0.6%	-7.4%	2.3K	8.8K	-619	0.00	113.37	N/A	N/A	0	210	1,230	550
2012-11-19	$2.35	$2.00	36.3%	10.4%	47.5%	13.1%	0.0%	3.1%	1.8%	466	-1.4K	-745	0.00	144.33	N/A	N/A	0	0	1,220	730
2012-11-20	$2.39	$2.00	24.1%	6.9%	47.9%	2.8%	0.0%	5.8%	1.4%	317	-30.5K	-754	0.25	65.38	N/A	N/A	200	50	1,220	730
2012-11-21	$2.38	$2.00	25.0%	7.2%	47.9%	3.5%	0.0%	-2.7%	-0.2%	-252	-20.7K	-766	0.00	78.57	N/A	N/A	0	0	1,220	780
2012-11-23	$2.41	$2.00	23.5%	6.7%	48.2%	2.3%	0.0%	3.5%	2.1%	176	-25.3K	-775	0.00	60.51	N/A	N/A	0	0	1,220	780
2012-11-26	$2.48	$2.00	32.5%	9.3%	49.4%	9.9%	0.0%	-5.7%	-4.1%	367	-45.4K	-766	0.00	55.46	N/A	N/A	0	0	1,220	780
2012-11-27	$2.52	$2.00	24.5%	7.0%	41.4%	3.1%	0.0%	5.2%	6.9%	-122	-63.1K	-771	0.00	64.52	N/A	N/A	0	0	1,220	780
2012-11-28	$2.53	$2.00	24.3%	7.0%	39.3%	3.0%	0.0%	3.1%	4.3%	191	-65.7K	-783	0.00	27.04	N/A	N/A	0	0	1,220	780
2012-11-29	$2.56	$2.00	25.5%	7.3%	37.7%	4.0%	0.0%	1.0%	4.2%	675	-82.8K	-779	0.00	36.87	N/A	N/A	20	0	1,220	780
2012-11-30	$2.56	$2.00	25.6%	7.3%	36.3%	4.1%	0.0%	1.3%	4.6%	578	-82.1K	-784	0.00	24.67	N/A	N/A	0	0	1,230	780